2024-03-28T18:14:15Zhttps://repositorio.bde.es/oai/requestoai:repositorio.bde.es:123456789/68782023-06-08T12:31:00Zcom_123456789_5661com_123456789_21col_123456789_5691
Vector autoregressions and reduced form representations of DSGE models
Ravenna, Federico
Vector autoregression
Dynamic stochastic general equilibrium model
Business cycle shocks
Equilibrio general
Probabilidad y procesos estocásticos
C13
C22
E32
Dynamic Stochastic General Equilibrium models are often tested against empirical VARs or estimated by minimizing the distance between the model's and the VAR impulse response functions. These methodologies require that the data-generating process consistent with the DSGE theoretical model has a VAR representation. This paper discusses the assumptions needed for a finite-order VAR(p) representation of any subset of a DSGE model variables to exist. When a VAR(p) is only an approximation to the true VAR, the paper shows that the truncated VAR(p) may return largely incorrect estimates of the impulse response function. The results do not hinge on an incorrect identification strategy or on small sample bias. But the bias introduced by truncation can lead to bias in the identification of the structural shocks. Identification strategies that are equivalent in the true VAR representation perform differently in the approximating VAR. [resumen de autor]
2006-09-12
Documento de trabajo
ISSN: 0213-2710 (en papel)
ISSN: 1579-8666 (en línea)
https://repositorio.bde.es/handle/123456789/6878
eng
Documentos de Trabajo / Banco de España, 0619
Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0)
In Copyright - Non Commercial Use Permitted
https://creativecommons.org/licenses/by-nc-sa/4.0/deed.es_ES
http://rightsstatements.org/vocab/InC-NC/1.0/
35 p. : fórmulas
application/pdf
Banco de España
Madrid : Banco de España, 2006